"A globally convergent primal-dual interior-point filter method for nonlinear programming: new filter optimality measures and computational results"
Luis N. Vicente, University of Coimbra
http://www.mat.uc.pt/~lnv/Abstract:
In this talk we modify the original primal-dual interior-point filter method proposed by Ulbrich, Ulbrich, and Vicente (Math. Prog, 2004) for the solution of nonlinear programming problems.
We introduce two new optimality filter entries based on the objective function, and thus better suited for the purposes of minimization, and propose conditions for using inexact Hessians. We show that the global convergence properties of the method remain true under such modifications.
We also introduce a new optimization solver for the solution of nonlinear programming problems, called ipfilter, based on our primal-dual interior-point filter approach. The numerical results reported show that ipfilter is competitive both in efficiency and robustness and can handle large instances.
This is joint work with Renata Silva, Michael Ulbrich, and Stefan Ulbrich.
